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Journal of Finance

Выпуск N3 за 1985 год

Опубликовано на портале: 03-12-2007
Werner De Bondt, Richard H. Thaler Journal of Finance. 1985.  Vol. 40. No. 3. P. 793-805. 
Research in experimental psychology suggests that, in violation of Bayes' rule, most people tend to "overreact" to unexpected and dramatic news events. This study of market efficiency investigates whether such behavior affects stock prices. The empirical evidence, based on CRSP monthly return data, is consistent with the overreaction hypothesis. Substantial weak form market inefficiencies are discovered. The results also shed new light on the January returns earned by prior "winners" and "losers." Portfolios of losers experience exceptionally large January returns as late as five years after portfolio formation
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